Time Series Econometrics, Econometric Theory, Applied Econometrics
PUBLICATION
Statistical inference on cointegration rank in error correction models with stationary covariates, Journal
of Econometrics 85/2, 1998, 339-385.
Tests for structural change in cointegrated systems, Econometric Theory 14/2, 1998, 221-258.
Distribution theory for unit root tests with conditional heteroskedasticity, Journal of Econometrics 91,
1999, 113-144.
Testing for two-regime threshold cointegration in vector error correction models, Journal of Econometrics
110, 2002, 293-318. (Coauthor: B. Hansen)
Nonlinear mean reversion in the term structure of interest rates, Journal of Economic Dynamics and Control
27, 2003, 2243-2265.
Efficient estimation of the cointegrating vector in error correction models with stationary covariates,
Journal of the Korean Statistical Society 34, 2005, 345-366.
Testing for Smooth Transition Nonlinearity in Partially Nonstationary Vector Autoregressions, Journal of the
Korean Statistical Society 36, 2007, 257-274.
Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional
heteroskedasticity, Journal of Econometrics 137, 2007, 68-111.
The impact of the Asian financial crisis on foreign exchange market efficiency: the case of the East Asian
countries, Pacific Basin Finance Journal 11, 2003, 509-525. (Coauthor: B. JRational Expectations, Long-run
Taylor Rule, and Forecasting Inflation, Seoul Journal of Economics 20, 2007, 239-262. (Coauthor: Sokwon Kim)
Nonlinear monetary policy reaction with asymmetric central bank preferences: some evidence for Korea,
Hitotsubashi Journal of Economics 49, 2008, 91-108. (Coauthor: Sokwon K
Asymmetric Dividend Smoothing in the Aggregate Stock Market, Quantitative Finance 10, 2010, 349-355.
(Coauthor: Sokwon Kim)
Nonparametric Testing for Linearity in Cointegrated Error-Correction Models, Studies in Nonlinear Dynamics
and Econometrics, 2011
Hysteresis and Averaging the Forecasts of Exchange Rates, Seoul Journal of Economics, 201
PRESENTATION
International Association for Energy Economics, Kyoto, Japan, 2012
2012 Hitotsubashi-Sogang Conference on Econometrics, Seoul, Korea, 2012
University of Goettingen , Germany, 2010
Meeting of Japan Applied Economics Association, Kobe, Japan, 2009
Japan Society of International Economics, Tama, Japan, 2009
Taiwan National University, Taiwan, 2008
Far Eastern Meeting of Econometric Society, Singapore, July 2008
Rice University, September 2005
Texas Econometrics CAMP, February 2005
Texas Econometrics CAMP, Dallas, 2004
Far Eastern Meeting of Econometric Society, Seoul, June 2004
Texas A&M University, February 2003
Econometric Society (jointly with 2004 ASSA meetings), San Diego, January 2004
Econometric Society (jointly with 1999 ASSA meetings), January 1999, N.Y.
Far Eastern Econometric Society, Kobe, Japan, July 2001
53rd Session of International Statistical Institute, Seoul, August 2001
Computational Economics Society, Barcelona, Spain, June 2000
University of Missouri, February 1997
Columbia University, January 1996
JOURNALS REFERRED
Journal of Econometrics, Econometric Theory, Journal of Business Economics and StatisticsJapan Society of
Journal of Applied Econometrics, Journal of Time Series Analysis, Econometric Reviews
Econometrics Journal, Economic Inquiry, International Economics Journal
COURSES
Econometrics, Time Series Econometrics, Texas A&M University
Applied Econometrics, Forecasting, Macroeconomics, Korea University
Advanced Econometrics, Seoul National University
Econometrics, Time Series Econometrics, Microeconometrics, Financial Econometrics, Soongsil University
Advanced Econometrics, Sogang University
Publication
1. Tests for structural change in cointegrated systems, Econometric Theory 14/2, 1998, 221-258.
2. Statistical inference on cointegration rank in error correction models with stationary covariates, Journal
of Econometrics 85/2, 1998, 339-385.
3. Distribution theory for unit root tests with conditional heteroskedasticity, Journal of Econometrics 91,
1999, 113-144.
4. Testing for two-regime threshold cointegration in vector error correction models, Journal of Econometrics
110, 2002, 293-318. (Coauthor: B. Hansen)
5. Forecasting interest rates and inflation: the use of nonlinear mean reversion in the term structure, BOK
Economic Papers 5, 2002, 20-51.
6. Nonlinear mean reversion in the term structure of interest rates, Journal of Economic Dynamics and Control
27, 2003, 2243-2265.
7. The impact of the Asian financial crisis on foreign exchange market efficiency: the case of the East Asian
countries, Pacific Basin Finance Journal 11, 2003, 509-525. (Coauthor: B. Jeon)
8. Efficient estimation of the cointegrating vector in error correction models with stationary covariates,
Journal of the Korean Statistical Society 34, 2005, 345-366.
9. Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional
heteroskedasticity, Journal of Econometrics 137, 2007, 68-111.
10. Testing for Smooth Transition Nonlinearity in Partially Nonstationary Vector Autoregressions, Journal of
the Korean Statistical Society 36, 2007, 257-274.
11. Rational Expectations, Long-run Taylor Rule, and Forecasting Inflation, Seoul Journal of Economics 20,
2007, 239-262. (Coauthor: Sokwon Kim)
12. Nonlinear monetary policy reaction with asymmetric central bank preferences: some evidence for Korea,
Hitotsubashi Journal of Economics 49, 2008, 91-108. (Coauthor: Sokwon Kim)
13. Asymmetric Dividend Smoothing in the Aggregate Stock Market, Quantitative Finance 10, 2010, 349-355.
(Coauthor: Sokwon Kim)
14. Structural Change in Stock Price Volatility of Asian Financial Markets, Journal of Economic Research 15,
2010, 1-27. (Coauthor: Jinwoong Kim, David Leatham)
15. Nonparametric Testing for Linearity in Cointegrated Error-Correction Models, Studies in Nonlinear
Dynamics & Econometrics, 2011
16. Hysteresis and Averaging the Forecasts of Exchange Rates, Seoul Journal of Economics, 2011.